Probability Analysis: Tools for SPY Options Trading
Hover over any point on the chart to see the probability of expiring above that strike price!
Expected Move Formula
\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)
- Volatility σ: VIX as the proxy value for SPY options pricing.
- Probability Analysis: The probability of expiring above one strike price on a certain day is measured by option deltas.
SPY Expected Move
| Expiration | Oct 29 (1D) | Oct 30 (2D) | Oct 31 (3D) | Nov 03 (6D) | Nov 04 (7D) | Nov 05 (8D) | Nov 06 (9D) | Nov 07 (10D) | Nov 10 (13D) | Nov 11 (14D) | Nov 14 (17D) | Nov 21 (24D) | Nov 28 (31D) | Dec 05 (38D) | Dec 12 (45D) | Dec 19 (52D) | Dec 26 (59D) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| lower | 681.415 | 679.081 | 677.29 | 673.247 | 672.141 | 671.111 | 670.144 | 669.23 | 666.732 | 665.965 | 663.815 | 659.443 | 655.674 | 652.312 | 649.248 | 646.414 | 643.765 |
| upper | 692.685 | 695.019 | 696.81 | 700.853 | 701.959 | 702.989 | 703.956 | 704.87 | 707.368 | 708.135 | 710.285 | 714.657 | 718.426 | 721.788 | 724.852 | 727.686 | 730.335 |
| expected move | 5.635 | 7.969 | 9.76 | 13.803 | 14.909 | 15.939 | 16.906 | 17.82 | 20.318 | 21.085 | 23.235 | 27.607 | 31.376 | 34.738 | 37.802 | 40.636 | 43.285 |
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
